Correlation between stocks and bonds: empirical analysis from the American market
Di Colantonio, Matteo (A.A. 2020/2021) Correlation between stocks and bonds: empirical analysis from the American market. Tesi di Laurea in Fixed income, credit and derivatives, Luiss Guido Carli, relatore Alberto Adolfo Cybo-Ottone, pp. 38. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Literature review. Methodology and data. Descriptive statistics. Returns. Pearson’s correlation. Causality and correlation biases. Exponentially weighted moving average correlation. Conditional correlation. Empirical results. Causality tests. Conditional correlation. Driving forces of stock-bond correlation.
References
Bibliografia: p. 33.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Fixed income, credit and derivatives |
| Thesis Supervisor: | Cybo-Ottone, Alberto Adolfo |
| Thesis Co-Supervisor: | Borri, Nicola |
| Academic Year: | 2020/2021 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 17 Mar 2022 09:57 |
| Last Modified: | 17 Mar 2022 09:57 |
| URI: | https://tesi.luiss.it/id/eprint/31747 |
Downloads
Downloads per month over past year
Repository Staff Only
 |
View Item |
